396 lines
19 KiB
C++
396 lines
19 KiB
C++
/*
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* Copyright (C) 2003-2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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#ifndef _DYNAMICMODEL_HH
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#define _DYNAMICMODEL_HH
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using namespace std;
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#include <fstream>
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#include "StaticModel.hh"
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//! Stores a dynamic model
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class DynamicModel : public ModelTree
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{
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private:
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typedef map<pair<int, int>, int> deriv_id_table_t;
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//! Maps a pair (symbol_id, lag) to a deriv ID
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deriv_id_table_t deriv_id_table;
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//! Maps a deriv ID to a pair (symbol_id, lag)
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vector<pair<int, int> > inv_deriv_id_table;
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//! Maps a deriv_id to the column index of the dynamic Jacobian
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/*! Contains only endogenous, exogenous and exogenous deterministic */
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map<int, int> dyn_jacobian_cols_table;
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//! Maximum lag and lead over all types of variables (positive values)
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/*! Set by computeDerivIDs() */
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int max_lag, max_lead;
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//! Maximum lag and lead over endogenous variables (positive values)
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/*! Set by computeDerivIDs() */
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int max_endo_lag, max_endo_lead;
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//! Maximum lag and lead over exogenous variables (positive values)
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/*! Set by computeDerivIDs() */
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int max_exo_lag, max_exo_lead;
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//! Maximum lag and lead over deterministic exogenous variables (positive values)
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/*! Set by computeDerivIDs() */
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int max_exo_det_lag, max_exo_det_lead;
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//! Number of columns of dynamic jacobian
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/*! Set by computeDerivID()s and computeDynJacobianCols() */
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int dynJacobianColsNbr;
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//! Derivatives of the residuals w.r. to parameters
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/*! First index is equation number, second is parameter.
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Only non-null derivatives are stored in the map.
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Parameter indices are those of the getDerivID() method.
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*/
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first_derivatives_type residuals_params_derivatives;
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//! Second derivatives of the residuals w.r. to parameters
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/*! First index is equation number, second and third indeces are parameters.
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Only non-null derivatives are stored in the map.
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Parameter indices are those of the getDerivID() method.
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*/
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second_derivatives_type residuals_params_second_derivatives;
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//! Derivatives of the jacobian w.r. to parameters
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/*! First index is equation number, second is endo/exo/exo_det variable, and third is parameter.
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Only non-null derivatives are stored in the map.
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Variable and parameter indices are those of the getDerivID() method.
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*/
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second_derivatives_type jacobian_params_derivatives;
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//! Second derivatives of the jacobian w.r. to parameters
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/*! First index is equation number, second is endo/exo/exo_det variable, and third and fourth are parameters.
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Only non-null derivatives are stored in the map.
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Variable and parameter indices are those of the getDerivID() method.
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*/
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third_derivatives_type jacobian_params_second_derivatives;
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//! Derivatives of the hessian w.r. to parameters
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/*! First index is equation number, first and second are endo/exo/exo_det variable, and third is parameter.
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Only non-null derivatives are stored in the map.
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Variable and parameter indices are those of the getDerivID() method.
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*/
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third_derivatives_type hessian_params_derivatives;
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//! Temporary terms for the file containing parameters dervicatives
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temporary_terms_type params_derivs_temporary_terms;
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//! Temporary terms for block decomposed models
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vector< vector<temporary_terms_type> > v_temporary_terms;
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vector<temporary_terms_inuse_type> v_temporary_terms_inuse;
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//! Store the derivatives or the chainrule derivatives:map<pair< equation, pair< variable, lead_lag >, NodeID>
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typedef map< pair< int, pair< int, int> >, NodeID> first_chain_rule_derivatives_type;
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first_chain_rule_derivatives_type first_chain_rule_derivatives;
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//! Writes dynamic model file (Matlab version)
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void writeDynamicMFile(const string &dynamic_basename) const;
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//! Writes dynamic model file (C version)
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/*! \todo add third derivatives handling */
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void writeDynamicCFile(const string &dynamic_basename) const;
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//! Writes dynamic model file when SparseDLL option is on
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void writeSparseDynamicMFile(const string &dynamic_basename, const string &basename) const;
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//! Writes the dynamic model equations and its derivatives
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/*! \todo add third derivatives handling in C output */
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void writeDynamicModel(ostream &DynamicOutput, bool use_dll) const;
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//! Writes the Block reordred structure of the model in M output
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void writeModelEquationsOrdered_M(const string &dynamic_basename) const;
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//! Writes the code of the Block reordred structure of the model in virtual machine bytecode
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void writeModelEquationsCode_Block(string &file_name, const string &bin_basename, const map_idx_type &map_idx) const;
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//! Writes the code of the model in virtual machine bytecode
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void writeModelEquationsCode(string &file_name, const string &bin_basename, const map_idx_type &map_idx) const;
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//! Computes jacobian and prepares for equation normalization
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/*! Using values from initval/endval blocks and parameter initializations:
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- computes the jacobian for the model w.r. to contemporaneous variables
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- removes edges of the incidence matrix when derivative w.r. to the corresponding variable is too close to zero (below the cutoff)
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*/
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//void evaluateJacobian(const eval_context_type &eval_context, jacob_map *j_m, bool dynamic);
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//! return a map on the block jacobian
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map<pair<pair<int, pair<int, int> >, pair<int, int> >, int> get_Derivatives(int block);
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//! Computes chain rule derivatives of the Jacobian w.r. to endogenous variables
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void computeChainRuleJacobian(t_blocks_derivatives &blocks_derivatives);
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string reform(string name) const;
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map_idx_type map_idx;
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//! sorts the temporary terms in the blocks order
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void computeTemporaryTermsOrdered();
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//! creates a mapping from the index of temporary terms to a natural index
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void computeTemporaryTermsMapping();
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//! Write derivative code of an equation w.r. to a variable
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void compileDerivative(ofstream &code_file, int eq, int symb_id, int lag, const map_idx_type &map_idx) const;
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//! Write chain rule derivative code of an equation w.r. to a variable
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void compileChainRuleDerivative(ofstream &code_file, int eq, int var, int lag, const map_idx_type &map_idx) const;
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//! Get the type corresponding to a derivation ID
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virtual SymbolType getTypeByDerivID(int deriv_id) const throw (UnknownDerivIDException);
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//! Get the lag corresponding to a derivation ID
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virtual int getLagByDerivID(int deriv_id) const throw (UnknownDerivIDException);
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//! Get the symbol ID corresponding to a derivation ID
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virtual int getSymbIDByDerivID(int deriv_id) const throw (UnknownDerivIDException);
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//! Compute the column indices of the dynamic Jacobian
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void computeDynJacobianCols(bool jacobianExo);
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//! Computes derivatives of the Jacobian w.r. to parameters
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void computeParamsDerivatives();
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//! Computes temporary terms for the file containing parameters derivatives
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void computeParamsDerivativesTemporaryTerms();
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//! Collect only the first derivatives
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map<pair<int, pair<int, int> >, NodeID> collect_first_order_derivatives_endogenous();
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//! Allocates the derivation IDs for all dynamic variables of the model
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/*! Also computes max_{endo,exo}_{lead_lag}, and initializes dynJacobianColsNbr to the number of dynamic endos */
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void computeDerivIDs();
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//! Helper for writing the Jacobian elements in MATLAB and C
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/*! Writes either (i+1,j+1) or [i+j*no_eq] */
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void jacobianHelper(ostream &output, int eq_nb, int col_nb, ExprNodeOutputType output_type) const;
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//! Helper for writing the sparse Hessian or third derivatives in MATLAB and C
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/*! If order=2, writes either v2(i+1,j+1) or v2[i+j*NNZDerivatives[1]]
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If order=3, writes either v3(i+1,j+1) or v3[i+j*NNZDerivatives[2]] */
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void sparseHelper(int order, ostream &output, int row_nb, int col_nb, ExprNodeOutputType output_type) const;
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//! Write chain rule derivative of a recursive equation w.r. to a variable
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void writeChainRuleDerivative(ostream &output, int eq, int var, int lag, ExprNodeOutputType output_type, const temporary_terms_type &temporary_terms) const;
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//! Collecte the derivatives w.r. to endogenous of the block, to endogenous of previouys blocks and to exogenous
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void collect_block_first_order_derivatives();
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//! Factorized code for substitutions of leads/lags
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/*! \param[in] type determines which type of variables is concerned */
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void substituteLeadLagInternal(aux_var_t type);
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private:
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//! Indicate if the temporary terms are computed for the overall model (true) or not (false). Default value true
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bool global_temporary_terms;
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//! vector of block reordered variables and equations
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vector<int> equation_reordered, variable_reordered, inv_equation_reordered, inv_variable_reordered;
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//! Vector describing equations: BlockSimulationType, if BlockSimulationType == EVALUATE_s then a NodeID on the new normalized equation
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t_equation_type_and_normalized_equation equation_type_and_normalized_equation;
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//! for each block contains pair< Simulation_Type, pair < Block_Size, Recursive_part_Size > >
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t_block_type_firstequation_size_mfs block_type_firstequation_size_mfs;
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//! for all blocks derivatives description
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t_blocks_derivatives blocks_derivatives;
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//! The jacobian without the elements below the cutoff
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dynamic_jacob_map dynamic_jacobian;
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//! Vector indicating if the block is linear in endogenous variable (true) or not (false)
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vector<bool> blocks_linear;
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//! Map the derivatives for a block pair<lag, make_pair(make_pair(eq, var)), NodeID>
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typedef map<pair< int, pair<int, int> >, NodeID> t_derivative;
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//! Vector of derivative for each blocks
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vector<t_derivative> derivative_endo, derivative_other_endo, derivative_exo, derivative_exo_det;
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//!List for each block and for each lag-leag all the other endogenous variables and exogenous variables
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typedef set<int> t_var;
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typedef map<int, t_var> t_lag_var;
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vector<t_lag_var> other_endo_block, exo_block, exo_det_block;
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//!Maximum lead and lag for each block on endogenous of the block, endogenous of the previous blocks, exogenous and deterministic exogenous
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vector<pair<int, int> > endo_max_leadlag_block, other_endo_max_leadlag_block, exo_max_leadlag_block, exo_det_max_leadlag_block, max_leadlag_block;
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public:
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DynamicModel(SymbolTable &symbol_table_arg, NumericalConstants &num_constants_arg, ExternalFunctionsTable &external_functions_table_argx);
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//! Adds a variable node
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/*! This implementation allows for non-zero lag */
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virtual VariableNode *AddVariable(int symb_id, int lag = 0);
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//! Absolute value under which a number is considered to be zero
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double cutoff;
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//! Compute the minimum feedback set in the dynamic model:
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/*! 0 : all endogenous variables are considered as feedback variables
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1 : the variables belonging to non normalized equation are considered as feedback variables
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2 : the variables belonging to a non linear equation are considered as feedback variables
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3 : the variables belonging to a non normalizable non linear equation are considered as feedback variables
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default value = 0 */
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int mfs;
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//! the file containing the model and the derivatives code
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ofstream code_file;
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//! Execute computations (variable sorting + derivation)
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/*!
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\param jacobianExo whether derivatives w.r. to exo and exo_det should be in the Jacobian (derivatives w.r. to endo are always computed)
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\param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed (implies jacobianExo = true)
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\param thirdDerivatives whether 3rd derivatives w.r. to endo/exo/exo_det should be computed (implies jacobianExo = true)
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\param paramsDerivatives whether 2nd derivatives w.r. to a pair (endo/exo/exo_det, parameter) should be computed (implies jacobianExo = true)
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\param eval_context evaluation context for normalization
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\param no_tmp_terms if true, no temporary terms will be computed in the dynamic files
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*/
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void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, bool paramsDerivatives,
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const eval_context_type &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode);
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//! Writes model initialization and lead/lag incidence matrix to output
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void writeOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll) const;
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//! Adds informations for simulation in a binary file
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void Write_Inf_To_Bin_File_Block(const string &dynamic_basename, const string &bin_basename,
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const int &num, int &u_count_int, bool &file_open, bool is_two_boundaries) const;
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//! Writes dynamic model file
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void writeDynamicFile(const string &basename, bool block, bool bytecode, bool use_dll) const;
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//! Writes file containing parameters derivatives
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void writeParamsDerivativesFile(const string &basename) const;
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//! Converts to static model (only the equations)
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/*! It assumes that the static model given in argument has just been allocated */
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void toStatic(StaticModel &static_model) const;
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//! Writes LaTeX file with the equations of the dynamic model
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void writeLatexFile(const string &basename) const;
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//! Initialize equation_reordered & variable_reordered
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void initializeVariablesAndEquations();
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virtual int getDerivID(int symb_id, int lag) const throw (UnknownDerivIDException);
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virtual int getDynJacobianCol(int deriv_id) const throw (UnknownDerivIDException);
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//! Returns true indicating that this is a dynamic model
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virtual bool
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isDynamic() const
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{
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return true;
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};
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//! Transforms the model by removing all leads greater or equal than 2 on endos
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/*! Note that this can create new lags on endos and exos */
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void substituteEndoLeadGreaterThanTwo();
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//! Transforms the model by removing all lags greater or equal than 2 on endos
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void substituteEndoLagGreaterThanTwo();
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//! Transforms the model by removing all leads on exos
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/*! Note that this can create new lags on endos and exos */
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void substituteExoLead();
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//! Transforms the model by removing all lags on exos
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void substituteExoLag();
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//! Transforms the model by removing all oExpectation
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void substituteExpectation(bool partial_information_model);
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//! Transforms the model by decreasing the lead/lag of predetermined variables in model equations by one
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void transformPredeterminedVariables();
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//! Fills eval context with values of model local variables and auxiliary variables
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void fillEvalContext(eval_context_type &eval_context) const;
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//! Return the number of blocks
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virtual unsigned int
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getNbBlocks() const
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{
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return (block_type_firstequation_size_mfs.size());
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};
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//! Determine the simulation type of each block
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virtual BlockSimulationType
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getBlockSimulationType(int block_number) const
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{
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return (block_type_firstequation_size_mfs[block_number].first.first);
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};
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//! Return the first equation number of a block
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virtual unsigned int
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getBlockFirstEquation(int block_number) const
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{
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return (block_type_firstequation_size_mfs[block_number].first.second);
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};
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//! Return the size of the block block_number
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virtual unsigned int
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getBlockSize(int block_number) const
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{
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return (block_type_firstequation_size_mfs[block_number].second.first);
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};
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//! Return the number of feedback variable of the block block_number
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virtual unsigned int
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getBlockMfs(int block_number) const
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{
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return (block_type_firstequation_size_mfs[block_number].second.second);
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};
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//! Return the maximum lag in a block
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virtual unsigned int
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getBlockMaxLag(int block_number) const
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{
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return (block_lag_lead[block_number].first);
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};
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//! Return the maximum lead in a block
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virtual unsigned int
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getBlockMaxLead(int block_number) const
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{
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return (block_lag_lead[block_number].second);
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};
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//! Return the type of equation (equation_number) belonging to the block block_number
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virtual EquationType
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getBlockEquationType(int block_number, int equation_number) const
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{
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return (equation_type_and_normalized_equation[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]].first);
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};
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//! Return true if the equation has been normalized
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virtual bool
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isBlockEquationRenormalized(int block_number, int equation_number) const
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{
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return (equation_type_and_normalized_equation[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]].first == E_EVALUATE_S);
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};
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//! Return the NodeID of the equation equation_number belonging to the block block_number
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virtual NodeID
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getBlockEquationNodeID(int block_number, int equation_number) const
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{
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return (equations[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]]);
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};
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//! Return the NodeID of the renormalized equation equation_number belonging to the block block_number
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virtual NodeID
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getBlockEquationRenormalizedNodeID(int block_number, int equation_number) const
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{
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return (equation_type_and_normalized_equation[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]].second);
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};
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//! Return the original number of equation equation_number belonging to the block block_number
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virtual int
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getBlockEquationID(int block_number, int equation_number) const
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{
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return (equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]);
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};
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//! Return the original number of variable variable_number belonging to the block block_number
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virtual int
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getBlockVariableID(int block_number, int variable_number) const
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{
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return (variable_reordered[block_type_firstequation_size_mfs[block_number].first.second+variable_number]);
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};
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//! Return the position of equation_number in the block number belonging to the block block_number
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virtual int
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getBlockInitialEquationID(int block_number, int equation_number) const
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{
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return ((int) inv_equation_reordered[equation_number] - (int) block_type_firstequation_size_mfs[block_number].first.second);
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};
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//! Return the position of variable_number in the block number belonging to the block block_number
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virtual int
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getBlockInitialVariableID(int block_number, int variable_number) const
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{
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return ((int) inv_variable_reordered[variable_number] - (int) block_type_firstequation_size_mfs[block_number].first.second);
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};
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};
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#endif
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